5 citations · 5 across the 2 of their papers we have counts for
2 papers
q-fin.MF2016
Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point
Oliver Janke
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark fo…
q-fin.MF2015★ 5 cited
Portfolio Optimization under Shortfall Risk Constraint
Oliver Janke, Qinghua Li
This paper solves a utility maximization problem under utility-based shortfall risk constraint, by proposing an approach using Lagrange multiplier and convex duality. Under mild co…